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Fair Value Measurements | 3 Months Ended
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Dec. 31, 2020
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements FASB ASC 820, Fair Value Measurement ("ASC 820") defines fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. ASC 820 also establishes a fair value hierarchy that requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard describes three levels of inputs that may be used to measure fair value: Level 1: Quoted prices (unadjusted) for identical assets or liabilities in active exchange markets that the entity has the ability to access as of the measurement date. Level 2: Significant other observable inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities, quoted prices in markets that are not active and other inputs that are observable or can be corroborated by observable market data. Level 3: Significant unobservable inputs that reflect a company’s own assumptions about the assumptions that market participants would use in pricing an asset or liability. The Company has established and documented the process for determining the fair values of its assets and liabilities, where applicable. Fair value is based on quoted market prices, when available, for identical or similar assets or liabilities. In the absence of quoted market prices, fair value is determined using valuation models or third-party appraisals. The following is a description of the valuation methodologies used to measure and report the fair value of financial assets and liabilities on a recurring or nonrecurring basis. Measured on a Recurring Basis Available-for-Sale Securities and Derivative Contracts Securities available for sale are recorded at fair value on a recurring basis. The fair value of debt securities are priced using model pricing based on the securities' relationship to other benchmark quoted prices as provided by an independent third party, and under GAAP are considered a Level 2 input method. Securities that are traded on active exchanges are measured using the closing price in an active market and are considered a Level 1 input method. The Company offers interest rate swaps to its variable rate borrowers who want to manage their interest rate risk. At the same time, the Company enters into the opposite trade with a counter party to offset its interest rate risk. The Company has also entered into commercial loan hedges, mortgage pool hedges and borrowings hedges using interest rate swaps. The fair value of these interest rate swaps are estimated by a third party pricing service using a discounted cash flow technique. These are considered a Level 2 input method. The following tables present the balance and level in the fair value hierarchy of assets and liabilities that are measured at fair value on a recurring basis.
| December 31, 2020
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (In thousands)
Financial Assets |  |  |  |  |  |  |
Available-for-sale securities: |  |  |  |  |  |  |
U.S. government and agency securities | $ | — |  |  | $ | 78,281 |  |  | $ | — |  |  | $ | 78,281 |
Asset-backed securities | — |  |  | 1,210,356 |  |  | — |  |  | 1,210,356 |
Municipal bonds | — |  |  | 38,703 |  |  | — |  |  | 38,703 |
Corporate debt securities | — |  |  | 287,393 |  |  | — |  |  | 287,393 |
Mortgage-backed securities |  |  |  |  |  |  |
Agency pass-through certificates | — |  |  | 868,211 |  |  | — |  |  | 868,211 |
Total available-for-sale securities | — |  |  | 2,482,944 |  |  | — |  |  | 2,482,944 |
Client swap program hedges | — |  |  | 35,825 |  |  | — |  |  | 35,825 |
Borrowings cash flow hedges | — |  |  | 2,743 |  |  | — |  |  | 2,743 |
Total financial assets | $ | — |  |  | $ | 2,521,512 |  |  | $ | — |  |  | $ | 2,521,512 |
Financial Liabilities |  |  |  |  |  |  |
Client swap program hedges | $ | — |  |  | $ | 35,825 |  |  | $ | — |  |  | $ | 35,825 |
Commercial loan fair value hedges | — |  |  | 7,508 |  |  | — |  |  | 7,508 |
Mortgage loan fair value hedges | — |  |  | 12,459 |  |  | — |  |  | 12,459 |
Total financial liabilities | $ | — |  |  | $ | 55,792 |  |  | $ | — |  |  | $ | 55,792 |
| September 30, 2020
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (In thousands)
Financial Assets |  |  |  |  |  |  |
Available-for-sale securities: |  |  |  |  |  |  |
U.S. government and agency securities | $ | — |  |  | $ | 18,824 |  |  | $ | — |  |  | $ | 18,824 |
Asset-backed securities | — |  |  | 936,917 |  |  |  |  | 936,917 |
Municipal bonds | — |  |  | 38,315 |  |  | — |  |  | 38,315 |
Corporate debt securities | — |  |  | 287,184 |  |  | — |  |  | 287,184 |
Mortgage-backed securities |  |  |  |  |  |  |
Agency pass-through certificates | — |  |  | 968,252 |  |  | — |  |  | 968,252 |
Total available-for-sale securities | — |  |  | 2,249,492 |  |  | — |  |  | 2,249,492 |
Client swap program hedges | — |  |  | 48,201 |  |  | — |  |  | 48,201 |
Total financial assets | $ | — |  |  | $ | 2,297,693 |  |  | $ | — |  |  | $ | 2,297,693 |
Financial Liabilities |  |  |  |  |  |  |
Client swap program hedges | $ | — |  |  | $ | 48,201 |  |  | $ | — |  |  | $ | 48,201 |
Commercial loan fair value hedges | — |  |  | 8,492 |  |  | — |  |  | 8,492 |
Mortgage loan fair value hedges |  |  | 16,061 |  |  |  |  | 16,061 |
Borrowings cash flow hedges | — |  |  | 17,375 |  |  | — |  |  | 17,375 |
Total financial liabilities | $ | — |  |  | $ | 90,129 |  |  | $ | — |  |  | $ | 90,129 |
Measured on a Nonrecurring Basis Certain assets and liabilities are measured at fair value on a nonrecurring basis after initial recognition such as collateral dependent loans and real estate owned ("REO"). REO consists principally of properties acquired through foreclosure. From time to time, and on a nonrecurring basis, adjustments using fair value measurements are recorded to reflect increases or decreases based on the discounted cash flows, the current appraisal or estimated value of the collateral or REO property. When management determines that the fair value of the collateral or the REO requires additional adjustments, either as a result of an updated appraised value or when there is no observable market price, the Company classifies the collateral dependent loan or real estate owned as Level 3. Level 3 assets recorded at fair value on a nonrecurring basis at December 31, 2020 included loans for which an allowance was established or a partial charge-off was recorded based on the fair value of collateral, as well as real estate owned where the fair value of the property was less than the cost basis. The following tables present the aggregated balance of assets that were measured at fair value on a nonrecurring basis at December 31, 2020 and December 31, 2019, and the total gains (losses) resulting from those fair value adjustments during the respective periods. The estimated fair value measurements are shown gross of estimated selling costs.
| December 31, 2020 |  | Three Months Ended December 31, 2020 |  |
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Total Gains (Losses) |  |
| (In thousands) |  | (In thousands)
Loans (1) | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (44) |  |  |
Real estate owned (2) | — |  |  | — |  |  | 447 |  |  | 447 |  |  | (47) |  |  |
Balance at end of period | $ | — |  |  | $ | — |  |  | $ | 447 |  |  | $ | 447 |  |  | $ | (91) |  |  |
(1)The gains (losses) represent re-measurements of collateral-dependent loans. (2)The gains (losses) represent aggregate write-downs and charge-offs on real estate owned.
| December 31, 2019 |  | Three Months Ended December 31, 2019 |  |
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Total Gains (Losses) |  |
| (In thousands) |  | (In thousands)
Loans (1) | $ | — |  |  | $ | — |  |  | $ | 70 |  |  | $ | 70 |  |  | $ | (299) |  |  |
Real estate owned (2) | — |  |  | — |  |  | 976 |  |  | 976 |  |  | (2) |  |  |
Balance at end of period | $ | — |  |  | $ | — |  |  | $ | 1,046 |  |  | $ | 1,046 |  |  | $ | (301) |  |  |
(1)The gains (losses) represent re-measurements of collateral-dependent loans. (2)The gains (losses) represent aggregate write-downs and charge-offs on real estate owned. At December 31, 2020, there were $528,000 in foreclosed residential real estate properties held as REO. The recorded investment of consumer mortgage loans secured by residential real estate properties for which formal foreclosure proceedings were in process was $2,214,000. Fair Values of Financial Instruments FASB ASC 825, Financial Instruments ("ASC 825") requires disclosure of fair value information about financial instruments, whether or not recognized on the statement of financial condition, for which it is practicable to estimate those values. Certain financial instruments and all non-financial instruments are excluded from the disclosure requirements. Accordingly, the aggregate fair value estimates presented do not reflect the underlying fair value of the Company. Although management is not aware of any factors that would materially affect the estimated fair value amounts presented below, such amounts have not been comprehensively revalued for purposes of these financial statements since the dates shown, and therefore, estimates of fair value subsequent to those dates may differ significantly from the amounts presented below.
|  |  |  | December 31, 2020 |  | September 30, 2020
|  | Level in Fair Value Hierarchy |  | Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
|  |  |  | ($ in thousands)
Financial assets |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | 1 |  | $ | 1,830,722 |  |  | $ | 1,830,722 |  |  | $ | 1,702,977 |  |  | $ | 1,702,977 |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |
U.S. government and agency securities |  | 2 |  | 78,281 |  |  | 78,281 |  |  | 18,824 |  |  | 18,824 |
Asset-backed securities |  | 2 |  | 1,210,356 |  |  | 1,210,356 |  |  | 936,917 |  |  | 936,917 |
Municipal bonds |  | 2 |  | 38,703 |  |  | 38,703 |  |  | 38,315 |  |  | 38,315 |
Corporate debt securities |  | 2 |  | 287,393 |  |  | 287,393 |  |  | 287,184 |  |  | 287,184 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
Agency pass-through certificates |  | 2 |  | 868,211 |  |  | 868,211 |  |  | 968,252 |  |  | 968,252 |
Total available-for-sale securities |  |  |  | 2,482,944 |  |  | 2,482,944 |  |  | 2,249,492 |  |  | 2,249,492 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
Agency pass-through certificates |  | 2 |  | 581,313 |  |  | 600,622 |  |  | 698,934 |  |  | 720,516 |
Commercial MBS |  | 2 |  | 5,557 |  |  | 5,553 |  |  | 6,904 |  |  | 6,852 |
Total held-to-maturity securities |  |  |  | 586,870 |  |  | 606,175 |  |  | 705,838 |  |  | 727,368 |
Loans receivable |  | 3 |  | 12,881,010 |  |  | 13,433,950 |  |  | 12,792,317 |  |  | 13,392,089 |
FHLB and FRB stock |  | 2 |  | 137,991 |  |  | 137,991 |  |  | 141,990 |  |  | 141,990 |
Other assets - client swap program hedges |  | 2 |  | 35,825 |  |  | 35,825 |  |  | 48,201 |  |  | 48,201 |
Other assets - borrowings cash flow hedges |  | 2 |  | 2,743 |  |  | 2,743 |  |  | — |  |  | — |
Financial liabilities |  |  |  |  |  |  |  |  |  |
Time deposits |  | 2 |  | 3,785,082 |  |  | 3,761,325 |  |  | 3,973,192 |  |  | 3,963,203 |
FHLB advances |  | 2 |  | 2,600,000 |  |  | 2,620,269 |  |  | 2,700,000 |  |  | 2,722,509 |
Other liabilities - client swap program hedges |  | 2 |  | 35,825 |  |  | 35,825 |  |  | 48,201 |  |  | 48,201 |
Other liabilities - mortgage loan fair value hedges |  | 2 |  | 12,459 |  |  | 12,459 |  |  | 16,061 |  |  | 16,061 |
Other liabilities - commercial loan fair value hedges |  | 2 |  | 7,508 |  |  | 7,508 |  |  | 8,492 |  |  | 8,492 |
Other liabilities - borrowings cash flow hedges |  | 2 |  | — |  |  | — |  |  | 17,375 |  |  | 17,375 |
The following methods and assumptions were used to estimate the fair value of financial instruments: Cash and cash equivalents – The carrying amount of these items is a reasonable estimate of their fair value. Available-for-sale securities and held-to-maturity securities – Securities at fair value are primarily priced using model pricing based on the securities' relationship to other benchmark quoted prices as provided by an independent third party, and are considered a Level 2 input method. Equity securities that are exchange traded are considered a Level 1 input method. Loans receivable – Fair values are estimated first by stratifying the portfolios of loans with similar financial characteristics. Loans are segregated by type such as multi-family real estate, residential mortgage, construction, commercial, consumer and land loans. Each loan category is further segmented into fixed- and adjustable-rate interest terms. For residential mortgages and multi-family loans, the bank determined that its best exit price was by securitization. MBS benchmark prices are used as a base price, with further loan level pricing adjustments made based on individual loan characteristics such as FICO score, LTV, Property Type and occupancy. For all other loan categories an estimate of fair value is then calculated based on discounted cash flows using a discount rate offered and observed in the market on similar products, plus an adjustment for liquidity to reflect the non-homogeneous nature of the loans, as well as an annual loss rate based on historical losses to arrive at an estimated exit price fair value. Fair value for impaired loans is also based on recent appraisals or estimated cash flows discounted using rates commensurate with risk associated with the estimated cash flows. Assumptions regarding credit risk, cash flows and discount rates are judgmentally determined using available market information and specific borrower information. FHLB and FRB stock – The fair value is based upon the par value of the stock that equates to its carrying value. Time deposits – The fair value of time deposits is estimated by discounting the estimated future cash flows using rates offered for deposits with similar remaining maturities. FHLB advances – The fair value of FHLB advances and other borrowings is estimated by discounting the estimated future cash flows using rates currently available to the Company for debt with similar remaining maturities. Interest rate swaps – The Company offers interest rate swaps to its variable rate borrowers who want to manage their interest rate risk. At the same time, the Company enters into the opposite trade with a counterparty to offset its interest rate risk. The Company also uses interest rate swaps for various fair value hedges and cash flow hedges. The fair value of these interest rate swaps is estimated by a third party pricing service using a discounted cash flow technique. The following tables provide details about the amortized cost and fair value of available-for-sale and held-to-maturity securities.
| December 31, 2020
| Amortized Cost |  | Gross Unrealized |  | Fair Value |  | Yield
| Gains |  | Losses |
| ($ in thousands)
Available-for-sale securities |  |  |  |  |  |  |  |  |
U.S. government and agency securities due |  |  |  |  |  |  |  |  |
1 to 5 years | $ | 58,807 |  |  | $ | 588 |  |  | $ | — |  |  | $ | 59,395 |  |  | 0.53 | %
5 to 10 years | 18,443 |  |  | 443 |  |  | — |  |  | 18,886 |  |  | 2.05 |
Asset-backed securities |  |  |  |  |  |  |  |  |
5 to 10 years | 107,355 |  |  | 206 |  |  | (1,360) |  |  | 106,201 |  |  | 0.68 |
Over 10 years | 1,097,828 |  |  | 7064 |  |  | (737) |  |  | 1104155 |  |  | 1.09 |
Corporate debt securities due |  |  |  |  |  |  |  |  |
Within 1 year | 52,756 |  |  | 236 |  |  | (86) |  |  | 52,906 |  |  | 1.22 |
1 to 5 years | 152,226 |  |  | 6,557 |  |  | (87) |  |  | 158,696 |  |  | 1.87 |
5 to 10 years | 73,340 |  |  | 2,451 |  |  | — |  |  | 75,791 |  |  | 1.16 |
Municipal bonds due |  |  |  |  |  |  |  |  |
1 to 5 years | 1,469 |  |  | 33 |  |  | — |  |  | 1,502 |  |  | — |
Over 10 years | 35,836 |  |  | 1,365 |  |  | — |  |  | 37,201 |  |  | 5.40 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 833,814 |  |  | 35,980 |  |  | (1,583) |  |  | 868,211 |  |  | 2.72 |
| 2,431,874 |  |  | 54,923 |  |  | (3,853) |  |  | 2,482,944 |  |  | 1.73 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 581,313 |  |  | 19,309 |  |  | — |  |  | 600,622 |  |  | 3.16 |
Commercial MBS | 5,557 |  |  | — |  |  | (4) |  |  | 5,553 |  |  | 1.02 |
| 586,870 |  |  | 19,309 |  |  | (4) |  |  | 606,175 |  |  | 3.14 |
| $ | 3,018,744 |  |  | $ | 74,232 |  |  | $ | (3,857) |  |  | $ | 3,089,119 |  |  | 2.00 | %
| September 30, 2020
| Amortized Cost |  | Gross Unrealized |  | Fair Value |  | Yield
| Gains | Losses |
| ($ in thousands)
Available-for-sale securities |  |  |  |  |  |  |  |  |
U.S. government and agency securities due |  |  |  |  |  |  |  |  |
5 to 10 years | $ | 18,448 |  |  | $ | 376 |  |  | $ | — |  |  | $ | 18,824 |  |  | 2.05 | %
Asset-backed securities |  |  |  |  |  |  |  |  |
5 to 10 years | 38,289 |  |  | — |  |  | (1,600) |  |  | 36,689 |  |  | 0.83 |
Over 10 years | 906,489 |  |  | 647 |  |  | (6,908) |  |  | 900,228 |  |  | 1.14 |
Corporate debt securities due |  |  |  |  |  |  |  |  |
Within 1 year | 54,209 |  |  | 337 |  |  | (51) |  |  | 54,495 |  |  | 1.22 |
1 to 5 years | 128,289 |  |  | 3,366 |  |  | (428) |  |  | 131,227 |  |  | 1.78 |
5 to 10 years | 97,157 |  |  | 4,305 |  |  | — |  |  | 101,462 |  |  | 1.50 |
Municipal bonds due |  |  |  |  |  |  |  |  |
1 to 5 years | 1,461 |  |  | 36 |  |  | — |  |  | 1,497 |  |  | — |
Over 10 years | 36,044 |  |  | 774 |  |  | — |  |  | 36,818 |  |  | 5.40 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 929,713 |  |  | 39,166 |  |  | (627) |  |  | 968,252 |  |  | 2.82 |
| 2,210,099 |  |  | 49,007 |  |  | (9,614) |  |  | 2,249,492 |  |  | 1.97 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  |  |  |  |  |  |  |
Agency pass-through certificates | 698,934 |  |  | 21,582 |  |  | — |  |  | 720,516 |  |  | 3.16 |
Commercial MBS | 6,904 |  |  | — |  |  | (52) |  |  | 6,852 |  |  | 1.02 |
| 705,838 |  |  | 21,582 |  |  | (52) |  |  | 727,368 |  |  | 3.14 |
| $ | 2,915,937 |  |  | $ | 70,589 |  |  | $ | (9,666) |  |  | $ | 2,976,860 |  |  | 2.25 | %
During fiscal 2020, as permitted in conjunction with the adoption of ASU 2019-04, the Company reclassified $374,680,000 of prepayable debt securities from held-to-maturity to available-for-sale. For available-for-sale investment securities, there were purchases of $379,760,000 during the three months ended December 31, 2020 and purchases of $82,028,000 during the three months ended December 31, 2019. There were no sales of available-for-sale investment securities during either period. For held-to-maturity investment securities, there were no purchases during the three months ended December 31, 2020 and no purchases during the three months ended December 31, 2019. There were no sales of held-to-maturity investment securities during either period. Substantially all of the agency mortgage-backed securities have contractual due dates that exceed 10 years. The Company elected to exclude AIR from the amortized cost basis of debt securities disclosed throughout this footnote. For AFS securities, AIR totaled $3,997,000 and $3,285,000 as of December 31, 2020 and September 30, 2020, respectively. For HTM debt securities, AIR totaled $1,506,000 and $1,811,000 as of December 31, 2020 and September 30, 2020, respectively. AIR is included in the “accrued interest receivable” line item on the Company’s consolidated statements of financial condition. The following tables show the gross unrealized losses and fair value of securities as of December 31, 2020 and September 30, 2020, by length of time that individual securities in each category have been in a continuous loss position. There were 33 and 51 securities with an unrealized loss as of December 31, 2020 and September 30, 2020, respectively. The decline in fair value since purchase is attributable to changes in interest rates. Because the Company does not intend to sell these securities and does not consider it more likely than not that it will be required to sell these securities before the recovery of amortized cost basis, which may be upon maturity, the Company does not consider these investments to be other-than-temporarily impaired.
December 31, 2020 | Less than 12 months |  | 12 months or more |  | Total
| Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value
| (In thousands) |  |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |
Corporate debt securities | $ | (173) |  |  | $ | 45,811 |  |  | $ | — |  |  | $ | — |  |  | $ | (173) |  |  | $ | 45,811 |
Asset-backed securities | (398) |  |  | 219,539 |  |  | (1,699) |  |  | 141,478 |  |  | (2,097) |  |  | 361,017 |
Mortgage-backed securities | (1,174) |  |  | 52,559 |  |  | (409) |  |  | 53,606 |  |  | (1,583) |  |  | 106,165 |
| (1,745) |  |  | 317,909 |  |  | (2,108) |  |  | 195,084 |  |  | (3,853) |  |  | 512,993 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities | (4) |  |  | 5,553 |  |  | — |  |  | — |  |  | (4) |  |  | 5,553 |
| $ | (1,749) |  |  | $ | 323,462 |  |  | $ | (2,108) |  |  | $ | 195,084 |  |  | $ | (3,857) |  |  | $ | 518,546 |
September 30, 2020 | Less than 12 months |  | 12 months or more |  | Total
| Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value |  | Unrealized Gross Losses |  | Fair Value
| (In thousands) |  |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |
Corporate debt securities | $ | (74) |  |  | $ | 45,875 |  |  | $ | (405) |  |  | $ | 24,596 |  |  | $ | (479) |  |  | $ | 70,471 |
Asset-backed securities | (5,481) |  |  | 587,746 |  |  | (3,027) |  |  | 204,369 |  |  | (8,508) |  |  | 792,115 |
Mortgage-backed securities | (278) |  |  | 41,897 |  |  | (349) |  |  | 56,196 |  |  | (627) |  |  | 98,093 |
| (5,833) |  |  | 675,518 |  |  | (3,781) |  |  | 285,161 |  |  | (9,614) |  |  | 960,679 |
Held-to-maturity securities |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities | (52) |  |  | 6,853 |  |  | — |  |  | — |  |  | (52) |  |  | 6,853 |
| $ | (5,885) |  |  | $ | 682,371 |  |  | $ | (3,781) |  |  | $ | 285,161 |  |  | $ | (9,666) |  |  | $ | 967,532 |
Substantially all of the Company’s held-to-maturity debt securities are issued by U.S. government agencies or U.S. government-sponsored enterprises. These securities carry the explicit and/or implicit guarantee of the U.S. government and have a long history of zero credit loss. Therefore, the Company did not record an allowance for credit losses for these securities as of December 31, 2020 or September 30, 2020. The Company does not believe that the available-for-sale debt securities that were in an unrealized loss position have any credit loss impairment as of December 31, 2020 or September 30, 2020. The Company does not intend to sell the investment securities that were in an unrealized loss position and it is not more likely than not that the Company will be required to sell the investment securities before recovery of their amortized cost basis, which may be at maturity. Available-for-sale debt securities issued by U.S. government agencies or U.S. government-sponsored enterprises carry the explicit and/or implicit guarantee of the U.S. government and have a long history of zero credit loss. Corporate debt securities and municipal bonds are considered to have an issuer of high credit quality (rated AA or higher) and the decline in fair value is due to changes in interest rates and other market conditions. The issuer continues to make timely principal and interest payments on the bonds. The fair value is expected to recover as the bonds approach maturity.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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